Navigation :

Taylor ES 99

Description	Expected Shortfall with fixed confidence level of 99%

The following vectors are combined to calculate the pnl.for.var.explain vector:

Correlation.Vector.PnL.VarExplain, intermediate measure of Correlation Taylor ES
CrossGamma.Vector.PnL.VarExplain, intermediate measure of CrossGamma Taylor ES
Delta.Vector.PnL.VarExplain, intermediate measure of Delta Taylor ES
Gamma.Vector.PnL.VarExplain, intermediate measure of Gamma Taylor ES
Vanna.Vector.PnL.VarExplain, intermediate measure of Vanna Taylor ES
Vega.Vector.PnL.VarExplain, intermediate measure of Vega Taylor ES
Volga.Vector.PnL.VarExplain, intermediate measure of Volga Taylor ES

The PnL vector is used by the ES measure with a confidence level of 99%, using the VaR Interpolation method.

The ES metric is the average of the worst PnL scenario above the selected quantile.